The tank is doing amazing, water quality is perfect, bla bla bla, and I was wondering if setting up a refugium would be worth-while. My friends have one on their 110 gal. but is it worth it on my little 20 gal?

Also, I know (for the most part) their purpose, but what really are the benefits of having one on a reef tank? And are they expensive?

USA Refugium has them for as little as $25.00 Of course you could buy all the materials and make it slightly cheaper. If all your levels are perfect and you don't have any fish that would benefit from pods then it's probably not needed.